Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 16 (1D) | Dec 17 (2D) | Dec 18 (3D) | Dec 19 (4D) | Dec 22 (7D) | Dec 23 (8D) | Dec 24 (9D) | Dec 25 (10D) | Dec 26 (11D) | Dec 29 (14D) | Jan 02 (18D) | Jan 09 (25D) | Jan 16 (32D) | Jan 23 (39D) | Jan 30 (46D) | Feb 06 (53D) | Feb 13 (60D) | Feb 20 (67D) | Feb 27 (74D) | Mar 06 (81D) | Mar 13 (88D) | Mar 20 (95D) | Mar 27 (102D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 674.81 | 672.366 | 670.49 | 668.909 | 665.099 | 664.021 | 663.009 | 662.052 | 661.141 | 658.633 | 655.677 | 651.208 | 647.333 | 643.862 | 640.692 | 637.755 | 635.006 | 632.414 | 629.953 | 627.607 | 625.36 | 623.201 | 621.12 |
| upper | 686.61 | 689.054 | 690.93 | 692.511 | 696.321 | 697.399 | 698.411 | 699.368 | 700.279 | 702.787 | 705.743 | 710.212 | 714.087 | 717.558 | 720.728 | 723.665 | 726.414 | 729.006 | 731.467 | 733.813 | 736.06 | 738.219 | 740.30 |
| expected move | 5.90 | 8.344 | 10.22 | 11.801 | 15.611 | 16.689 | 17.701 | 18.658 | 19.569 | 22.077 | 25.033 | 29.502 | 33.377 | 36.848 | 40.018 | 42.955 | 45.704 | 48.296 | 50.757 | 53.103 | 55.35 | 57.509 | 59.59 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
